Finance

XLV Move Probability $178.91 -0.89 (-0.5%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
0.6%
Stock touched +5.0% ($187.86) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
0.4%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
1.50x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.5%
$176.30 — $181.53

Historical 2-Day Return Distribution

Frequency of rolling 2-day percentage returns over 520 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-6.2% to -5.4%: 2 occurrences (0.4%) -5.8% -5.4% to -4.7%: 1 occurrences (0.2%) -4.7% to -4.0%: 0 occurrences (0.0%) -4.0% to -3.2%: 2 occurrences (0.4%) -3.6% -3.2% to -2.5%: 9 occurrences (1.7%) -2.5% to -1.8%: 38 occurrences (7.3%) -1.8% to -1.1%: 53 occurrences (10.2%) -1.4% -1.1% to -0.3%: 88 occurrences (16.9%) -0.3% to +0.4%: 117 occurrences (22.5%) +0.4% to +1.1%: 101 occurrences (19.4%) 0.8% +1.1% to +1.9%: 65 occurrences (12.5%) +1.9% to +2.6%: 23 occurrences (4.4%) +2.6% to +3.3%: 12 occurrences (2.3%) 3.0% +3.3% to +4.1%: 5 occurrences (1.0%) +4.1% to +4.8%: 2 occurrences (0.4%) +4.8% to +5.5%: 2 occurrences (0.4%) 5.2%
Historical returns Target move zone (+5.0%+) Target threshold bin

Probability Breakdown: Empirical vs. Theoretical Models

Comparing actual market back-data against Black-Scholes and Fat-Tail adjustments.

Model / Methodology Touch Probability Expiration Close Probability What It Tells You
Empirical Back-Data (Actual History) 0.6% 0.4% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 16.7% Adjusts normal bell curve for real-world skewness (-0.04) and kurtosis (2.16).
Standard Normal (Black-Scholes / GBM) 0.1% 0.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.8% 0.5% Filters for historical windows that started with volatility similar to current 20-day HV (390 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 16.4%
  • Recent 20-Day HV: 18.1%
  • Parkinson Intraday Volatility: 13.5%
  • Vol Trend: Normal / Consistent

2-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +1.7%
  • Bottom 10% Move (10th percentile): -1.8%
  • Max Historical Gain (2d): +5.5%
  • Max Historical Loss (2d): -6.2%